Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0290 |
| Annualized Std Dev | 0.2815 |
| Annualized Sharpe (Rf=0%) | 0.1030 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4814.0000 |
| NAs | 1.0000 |
| Minimum | -0.1795 |
| Quartile 1 | -0.0079 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0092 |
| Maximum | 0.1648 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0177 |
| Skewness | -0.4096 |
| Kurtosis | 11.3281 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0130 |
| Gain Deviation | 0.0121 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0174 |
| Downside Deviation (Rf=0%) | 0.0129 |
| Downside Deviation (0%) | 0.0129 |
| Maximum Drawdown | 0.7346 |
| Historical VaR (95%) | -0.0262 |
| Historical ES (95%) | -0.0424 |
| Modified VaR (95%) | -0.0268 |
| Modified ES (95%) | -0.0488 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2020-03-18 | NA | -0.7346 | 3231 | 2977 | NA |
| 2002-04-03 | 2002-10-09 | 2003-12-24 | -0.3183 | 427 | 122 | 305 |
| 2006-05-11 | 2006-06-13 | 2007-04-05 | -0.1806 | 227 | 23 | 204 |
| 2008-01-04 | 2008-01-23 | 2008-04-16 | -0.1615 | 71 | 13 | 58 |
| 2005-09-30 | 2005-10-20 | 2006-01-04 | -0.1470 | 66 | 15 | 51 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 | 0.3 | -0.8 | -0.3 |
| 2002 | -0.6 | 0.7 | -0.4 | 0.9 | 1 | 0.6 | -2.3 | 0.7 | 4.5 | 2.1 | 0.4 | 0.5 | 8.5 |
| 2003 | 1 | 0.7 | 1.7 | -0.1 | 1.1 | -0.7 | -0.3 | 0.3 | 1.2 | 1.2 | 1.3 | -0.5 | 7.3 |
| 2004 | -0.1 | 2 | -0.6 | 0.2 | 1.1 | -0.3 | 0.5 | 1.4 | 1.2 | -0.6 | -1.5 | 0.2 | 3.6 |
| 2005 | 1.4 | -1.5 | 1.9 | 0.5 | 1.6 | 1.8 | 1.1 | 2.1 | -1.1 | 0.3 | 2.7 | 0.4 | 11.8 |
| 2006 | -1.4 | 1.8 | -1.4 | 1.3 | 0.2 | 0.4 | 0.3 | 1.2 | 0.2 | -0.8 | 0.4 | -0.6 | 1.6 |
| 2007 | 0.9 | -0.4 | -1.1 | 0.2 | 1.1 | 0.3 | -0.8 | 1.4 | 1.3 | -2.2 | 0 | -1.2 | -0.6 |
| 2008 | 1.8 | -3 | 1.3 | -1.7 | 1.1 | 0.6 | -0.3 | -1 | -2.4 | 0.5 | -10.6 | 1.4 | -12.2 |
| 2009 | -2 | -1.4 | 2.5 | 3.5 | 3.2 | 0.2 | 1.4 | -2.1 | -3.6 | -4.2 | 1.8 | -0.6 | -1.6 |
| 2010 | 4 | 1.3 | 2.3 | -1.1 | -3.9 | -0.8 | 0.2 | 3.2 | 1.4 | 0.4 | 2.9 | 0.2 | 10.3 |
| 2011 | 1.6 | -1.3 | 0.2 | 1.5 | -2.6 | 0.8 | 0 | -0.7 | -2.6 | -3.1 | -0.5 | 0.4 | -6.4 |
| 2012 | 0.6 | 1.2 | 0.8 | 1.1 | -1.6 | 3.4 | 0.2 | 1.5 | 0.5 | 0.6 | -0.1 | 2.6 | 11.3 |
| 2013 | 1.1 | -0.5 | -0.6 | -1.7 | -2 | 0.9 | 1.5 | -0.3 | 0.7 | -0.6 | 0 | 1 | -0.6 |
| 2014 | -0.8 | 0.5 | 0.5 | -0.4 | 0 | 0.1 | -0.8 | 0.7 | -1.9 | 1.7 | 0.1 | -0.7 | -1 |
| 2015 | 1.2 | -0.4 | 0.5 | 0.3 | -0.4 | -1.2 | -1.7 | -3.5 | 0.1 | 0.5 | 0.9 | 0.5 | -3.3 |
| 2016 | -1.7 | 1.7 | -1.4 | 0.5 | 0.2 | 1.1 | -2.8 | 0.2 | 1 | 0 | 0.1 | -0.6 | -1.8 |
| 2017 | -0.4 | 1.7 | 0.3 | -0.4 | 0.8 | 0.3 | -0.2 | 1.1 | -0.1 | 1.1 | 0.9 | -0.2 | 5 |
| 2018 | 0.5 | -0.2 | 2.3 | -0.3 | 0.4 | 1.1 | -1.2 | -0.7 | 1.5 | 1.5 | -0.5 | 0.7 | 5.2 |
| 2019 | 0.8 | 1.3 | 1.3 | -2 | -0.8 | -0.1 | -1.7 | 0 | -2 | 2.1 | -0.7 | 0.6 | -1.4 |
| 2020 | -2.3 | 0 | -3.5 | -3.6 | 1.9 | -1.8 | 0.1 | 0 | -1.7 | 0.7 | 1 | -0.9 | -9.8 |
| 2021 | 1.3 | 2.3 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
